Mandatory disclosure, voluntary disclosure, and stock market liquidity: Evidence from the EU bank stress tests

DOI:	https://doi.org/10.1111/1475-679X.12029
URL:	http://onlinelibrary.wiley.com/doi/10.1111/1475-67...
Weitere URL:	https://www.researchgate.net/publication/259545438...
Dokumenttyp:	Zeitschriftenartikel
Erscheinungsjahr:	2013
Titel einer Zeitschrift oder einer Reihe:	Journal of Accounting Research
Band/Volume:	51
Heft/Issue:	5
Seitenbereich:	997-1029
Ort der Veröffentlichung:	Malden, Mass. [u.a.]
Verlag:	Blackwell
ISSN:	0021-8456 , 1475-679X
Sprache der Veröffentlichung:	Englisch
Einrichtung:	Fakultät für Betriebswirtschaftslehre > ABWL, Unternehmensrechnung u. Empirische Kapitalmarktforschung (Daske 2007-)
Fachgebiet:	330 Wirtschaft
Abstract:	We use the EU stress tests and the Eurozone sovereign debt crisis to study the consequences of supervisory disclosure of banks’ sovereign risk exposures. We test the idea that a mandatory one-time disclosure induces an increase in voluntary disclosures about sovereign risk in the following periods and, through the shift in the voluntary disclosure equilibrium, increases the liquidity of banks’ shares. First, we find that the timing and content of different mandatory disclosure events helps explain the levels of stress-test banks’ voluntary disclosures about sovereign risk. Second, although the bid-ask spreads of stress test participants generally increased after the mandatory stress test in 2011, our results suggest that the decrease in market liquidity is entirely attributable to those stress-test participants that did not commit to voluntarily maintaining the disclosures of sovereign risk exposure.